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RiskCraftTM.CREDIT
RiskCraftTM.CREDIT is a Mark to Market Credit VaR system which provides fast and reliable credit risk measurement function.
Main function
- Factor model, Hull & White model, Merton model, Monte Carlo Simulation, Principal component analysis, Portfolio correlation view
- Expected Loss, Credit VaR, Expected Shortfall, Current Value, Horizon Value
- Basel II SA, IRB
Key features
- Excellent simulation performance
- Modular calculation function
- Flexible process configuration
- Transparency of calculation process
